One compelling study that triggered tonight suggested the recent persistent upmove is unlikely to abruptly end. (This is a theme we have seen many times over the years.) It considers what happens after SPX moves up at least 5 days in a row to a 50-day high, and then pulls back. (This is the current

Quantifiable Edges is now offering our Fed Day research and tools to anyone that makes any size donation to the MS Society! Keep reading for details. One bit of research that Quantifiable Edges has become known for are the many studies I have published on Fed Days. In fact, you could say I wrote the

Wednesday is a Fed Day. Fed Days have historically shown an upside tendency. I have documented this tendency in great detail over the years, with the most complete documentation coming in The Quantifiable Edges Guide to Fed Days. Based on what the market did Tuesday, this does not seem to be the

Below is a quick look at how the SPX has performed in the past on Holy Thursday. Like the last day before many long weekends, it has shown a bullish propensity over the years. 2017-04-13 The numbers are compelling, and it is especially impressive to see how much the winners have outsized the losers

The study below is one I have shown here on the blog a few times over the years. It examines the bullish inclination the market has had in early April. 2017-04-03 Numbers here appear impressive. Of further note, sixteen of the 1st eighteen years were higher on day 4, but the 2012-2014 instances saw

I’ve noted a number of times that Op-ex week in general is pretty bullish. March, April, October, and December it has been especially so. S&P 500 options began trading in mid-1983. The table below is one I have showed in March each of the last several years. It goes back to 1984 and shows

Opex week in January is one that the market has seen some struggles over the last 18 years. Below is the list of January op-ex weeks from 1999 – 2016 with their full week performance results. There have been 7 years in which January op-ex week occurred in conjunction with Martin Luther King Day.

Over several time horizons op-ex week in December has been the most bullish week of the year for the SPX. The positive seasonality actually has persisted for up to 3 weeks. I’ve shown the study below in the blog many times since 2008. It looks back to 1984, which was the first year that SPX

The time around Thanksgiving has shown some strong tendencies over the years – both bullish and bearish. In the table below I show SPX performance results based on the day of the week around Thanksgiving. The bottom row is the Monday of Thanksgiving week. The top row is the Monday after

From a seasonal standpoint option expiration week is often a pretty good week for the market. October is one of those months where it has been especially good over the years. The study below examines performance during October op-ex week. 2016-10-17 image1 I decided to exclude 2008 because action

From a seasonality standpoint, there isn’t a more reliable time of the year to have a selloff than this week. In the past I have referred to is as “The Weakest Week”. Since 1961 the week following the 3rd Friday in September has produced the most bearish results of any week. Below is a graphic

Yesterday I showed a VIX-related study that suggested it was so stretched to the upside that the market was likely to get a quick bounce. And we certainly got one on Monday. The VIX is a measure of options pricing and is often referred to as a “fear index”. It saw a 13% drop on Monday.

Friday’s big drop was accompanied by a big spike in options prices as measured by the VIX. The VIX rose so sharply that it closed Friday 32% above its 10-day moving average. The study below examines stretches of 25% or more, and how the SPX has performed in the following days.

The range over the last week has been extremely tight. On 7/20/16 SPY closed at a 50-day high. Every SPY close in the 5 days since 7/20 has been within the intraday range of that 7/20/16 bar. (And it wasn’t even that big of a range.) It is said that consolidations are often resolved in the

Remarkable about Friday’s 50-day high close is that it came just 8 trading days after SPX closed at a 50-day low. That’s quite rare to see. The study below is from this weekend’s Quantifiable Edges Subscriber Letter. It looks at all the instances since 1950 of a move from a 50-day closing low

Thursday and Friday saw relatively large selloffs in SPX. After closing at a 50-day high on Wednesday it closed at a 10-day low on Friday. This triggered an interesting study from the Quantifinder that looked at relatively sharp selloffs that made at least 8-day lows. I have updated that study

The week of Memorial Day has shown some interesting seasonal tendencies over the years. And for a long time it exhibited consistent bullishness. But it has faltered greatly the last several years. The chart below examines SPX performance from the Friday before Memorial Day to the Friday after it.

There is a seasonal influence that could have a bullish impact on the market this week. Op-ex week in general is pretty bullish. March, April, October, and December it has been especially so. S&P 500 options began trading in mid-1983. The table below is one I have showed on the blog in years

Friday was the 4th day in a row that the NASDAQ closed higher. While this may not seem to be a big deal, it does not happen very often when the NASDAQ is trading below its 200-day moving average. The table below shows results following all times this has occurred since 2002. 2015-03-07 image1

Tuesday posted the 1st IBD Follow Through Day (FTD) since the rally began. Unusual about this FTD is that it occurred in conjunction with SPX making a new 20-day high. The study below examines other times a 20-day high was accompanied by a FTD. 2015-03-02 image1 Results here are impressive over both

Friday marked the 3rd day in a row of hard selling at intermediate-term lows. The study below shows that such hard selling is rare, and has often been met with a strong upside reversal. 2015-01-11 image1 While instances are low, the stats so far appear impressive. I will also note that 7 of the 10

Wednesday and Thursday were a tough way for the indices to finish the year. In the study below I show other times where the SPX closed down on the last two days of a quarter. I found that when the last two days were down, but the quarter was still positive, there appeared to be a strong upside

The week between Christmas and New Year’s is often a quiet one that is not prone to large-move days. So strong rallies like we saw on Tuesday are a bit unusual this time of year. I looked back to 1970 to see what has followed other times when SPX rose over 1% on a day between Christmas and New

I've been posting and updating the "Twas 3 Nights Before Christmas" study on the blog here since 2008. The study kicked in at the close yesterday close. This year I will again show the Nasdaq version of the study. While all the major indices have performed well during this period, the

Fed announcing Wednesday that they will begin raising rates for the 1st time in 11 years. Since 1990 there have only been 4 other cycles of rate hikes. I decided to measure SPX performance from the start of those cycles. I found that one month later the stock market was trading lower every time. But

Historically Thanksgiving week has shown some very strong tendencies. The table below is one I have shown a few times over the years. I decided to update it again this year. 2015-11-23 image1 Monday and Tuesday don’t show anything suggesting an edge. Monday’s total return was actually negative

Both Thursday and Friday saw SPY leave an unfilled gap down. That is fairly unusual. In the study below I examined other times it has occurred since 2002 while SPY was below the 200-day moving average. 2015-11-16 image1 Every instance except one was higher five days later. While instances are a

When a market has already sold off for multiple days and the selling accelerates that can often mark a point where a bounce becomes likely. Monday’s selling triggered the Quantifinder study below. All stats are updated. 2015-11-10 image1 These results appear extremely compelling. The consistency

While the stock market is open on Monday, banks, schools, government offices, and the bond market are closed. In past years with the bond market closed, the stock market has done quite well on Columbus Day. Of course the most famous Columbus Day rally was in 2008 when the market gained over 11%

The VIX and VXO have dropped sharply over the last 7 days. These are measures of options premium. When they are falling it means premium is declining, and options traders are less fearful. The study below looks for times when the VXO becomes stretched more than 20% below its 10-day moving average. I

Friday had an exceptionally weak start and strong finish. Such reversals during long-term downtrends have often failed to see further buying the next day. This can be seen in the study below. 2015-10-05 image1 The numbers here are solidly bearish. 70% of the time SPY has closed down the next day and

SPX closed at a 10-day high on Tuesday. New short-term (and intermediate-term) highs will sometimes get traders excited. When the market is in long-term downtrend mode, this excitement is often misplaced. Way back in a blog post on 4/3/09 I showed a number of “systems” that looked to sell short

Yesterday I discussed Tuesday’s Follow Through Day (FTD) and some possible implication based on breadth and volume statistics. Wednesday was interesting because we saw a big selloff immediately follow Tuesday’s FTD. Past occurrences of this have been somewhat rare, but also somewhat suggestive

One notable bit of evidence that emerged on Tuesday was the fact that it qualified as an IBD Follow Through Day (FTD). I have done a lot of research on FTDs over the years. Much of that research can be found on the blog. Here is a link. http://quantifiableedges.com/category/ibd-follow-through-day/ A

One of my former studies I looked at over the weekend examined how the market performed following large selloffs before U.S.-only three day weekends. These include Labor Day, Martin Luther King Day, Presidents’ Day, Memorial Day, and Fourth of July. Since 2000 there have been 12 instances where

Notable on Friday was that the 50-day moving average of the SPX closed below its 200-day moving average. This is often referred to as a “Death Cross”. (When the 50ma is above the 200ma that is a “Golden Cross”.) This is the first Death Cross since early 2012. Let’s take a brief look at

Thursday’s rally was accompanied by the lightest volume in 5 days. The relatively low volume could be worrisome for bulls. The importance of volume can be seen in the studies below. The first one looks at 2%+ SPX gains when volume comes in relatively high. 2015-08-28 image1 A week later ¾ of the

The study below is one that appeared in the Quantifinder yesterday afternoon. There were a few like it. This study looks at big gaps up from 50-day lows that go unfilled and close above the open. 2015-08-27 image1 The suggestion here is that the overwhelming 1-day bullishness (big gap and move

Monday’s market rally was accompanied by a big drop in some implied volatility measures. The VXO, which is the old calculation for the VIX, saw a decline of over 22% on Monday. The study below is one I have shown before. It looks at SPX performance the day following VXO declines of 20% or more.

Friday was the 2nd day in a row that SPY put in an unfilled gap up (though Thursday ended with very small gains.) And while the move up on Friday was strong, it still was not strong enough to erase all of Wednesday’s losses. Wednesday was a big down day that left SPX at an intermediate-term low.

A few times over the years I have shared this study. It breaks down the bullish “1st trading day of the month” tendency by month. I thought it would be interesting to take another look at it today. Below is an updated version of the study orginally shown here on July 1, 2009. July has continued

Yesterday I published a study that showed the week after June opex has exhibited weakness in recent years. An astute newsletter subscriber suggested to me that this could be partially due to Russell rebalancing, which always happens at the end of June. His comments led me to wonder how the Russell

The week after June opex is one that has struggled quite a bit in recent times. This can be seen in the table below, which shows full-week performance dating back to 1999 when the bearish inclination seemed to kick in. As you can see, it has been quite a streak of bearishness. Thirteen out of

Interesting about the action on Friday was that SPY posted an unfilled gap down, and this occurred immediately following an unfilled gap up the day before. The study below was appeared in the Quantifinder. It examines 2-day moves like SPY has just encountered. Based on the numbers there appeared to

On Thursday I had an article published in ProActive Advisor Magazine. It talked about evolving markets and used a seasonality example to show how change occurs. You may find a link to it below: http://www.dppublishinginc.com/publication/?i=261185&p=12

After the big down day last Tuesday the market has not done a lot. In fact, it has closed within the true range of that 1 bar every day for the last week. The bears failed to follow through on that selloff, but the bulls have not managed to move the SPX back out of the range either. This triggered

The study below is one I have shown here on the blog for a long time. It looks at relatively sharp selloffs from intermediate-term highs. It shows that there has been a strong tendency for situations like the current one to bounce. Results are updated. The stats all suggest an upside edge over the

Need something to listen to on your Memorial Day weekend car trip? Can’t bear to be without the markets for 3 days? Check Andrew Swanscott’s interview with me at his great new site, Better System Trader. It was published just a few days ago and joins a growing list of excellent podcasts that

Despite the options expiration, SPY volume came in at the lowest level of the week. When combined with the fact that the VIX also closed at a recent low it brought about a bearish study from the Quantifinder. Results below are all updated. The low VIX typically suggests complacency. It also

The VIX, which is a measure of options pricing and is often referred to as a “fear index” saw a 15% drop on Friday. Meanwhile, the VXO, which is the old measure of the VIX, declined nearly 22%. Such big declines often suggest short-term over-optimism on the part of traders and are followed by a